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Hétérogénéité des prévisionnistes : une exploration des anticipations sur le marché des changes

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  • Ronald MacDonald
  • Ian W. Marsh

Abstract

[eng] Forecaster Heterogeneity: An Investigation of the Expectations of Foreign Exchange Forecasters . Ronald MacDonald and Ian W. Marsh . Adatabase of individual forecasters' exchange rate predictions is analysed. We demonstrate that only a small subgroup of forecasters can be described as rational, that some forecasters are significantly more accurate than others, and that this heterogeneity of expectations is positively related to trading volume in the futures market. [fre] Hétérogénéité des prévisionnistes : une exploration des anticipations sur le marché des changes . Ronald MacDonald et Ian W. Marsh . Une base de données individuelles d'anticipations sur les taux de change est exploitée. On montre que seulement un sous-groupe de prévisionnistes peut être considéré comme rationnel, que certains agents prévoient significativement mieux que d'autres, et que cette hétérogénéité des anticipations est positivement liée aux montants des transactions sur le marché futur des monnaies.

Suggested Citation

  • Ronald MacDonald & Ian W. Marsh, 1996. "Hétérogénéité des prévisionnistes : une exploration des anticipations sur le marché des changes," Économie et Prévision, Programme National Persée, vol. 125(4), pages 109-115.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_125_4_5813
    DOI: 10.3406/ecop.1996.5813
    Note: DOI:10.3406/ecop.1996.5813
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    References listed on IDEAS

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    1. Froot, Kenneth A. & Ito, Takatoshi, 1989. "On the consistency of short-run and long-run exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 487-510, December.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Jeffrey A. Frankel & Kenneth Froot, 1990. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," NBER Working Papers 3470, National Bureau of Economic Research, Inc.
    4. Grossman, Sanford, 1978. "Further results on the informational efficiency of competitive stock markets," Journal of Economic Theory, Elsevier, vol. 18(1), pages 81-101, June.
    5. MacDonald, Ronald & Macmillan, Peter, 1994. "On the Expectations View of the Term Structure, Term Premia and Survey-Based Expectations," Economic Journal, Royal Economic Society, vol. 104(426), pages 1070-1086, September.
    6. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.
    7. MacDonald, Ronald, 1992. "Exchange Rate Survey Data: A Disaggregated G-7 Perspective," The Manchester School of Economic & Social Studies, University of Manchester, vol. 60(0), pages 47-62, Supplemen.
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